JPMorgan plans dual directional contingent buffered notes on indexes

By Marisa Wong

Morgantown, W.Va., Nov. 29 – JPMorgan Chase Financial Co. LLC plans to price 0% capped dual directional contingent buffered return enhanced notes due Dec. 7, 2020 linked to lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

If each index finishes above the initial level, the payout at maturity will be par plus at least 1.5 times the gain of the worse performing index, subject to a maximum return of at least 57%. The exact cap and upside leverage factor will be set at pricing.

If neither index falls by more than the 33% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing index.

If either index falls by more 33%, investors will be fully exposed to the decline of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Dec. 2.

The Cusip number is 46646QBN4.

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